A vacuum is simply the absence of anything, including air or any gas. To make one, you generally just pump the air out of a vessel. You are right that the vessel could collapse from atmospheric pressure, so for this reason, high vacuum vessels are made of strong materials and are often sphere shaped for strength. Atmospheric pressure is not that huge, so it's possible to do this even with glass. There is a lot of information about creating vacuums for the home hobbyist. Start at The Bell Jar.